The Relationship between Interest Rate, Exchange Rate and Stock Price: A Wavelet Analysis
This paper examines the multi-scale relationship between the interest rate, exchange rate and stock price using a wavelet transform. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to the interest rate, exchange rate and stock price in US over the period from january 1...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2011-12-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31951/351808?publisher=http-www-cag-edu-tr-ilhan-ozturk |